V-Lab
COMSYS Holdings Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
27.25%
increased by 0.27%
1 Week
27.41%
increased by 0.43%
1 Month
28.01%
increased by 1.03%
Analysis last updated: Sunday, July 26, 2026 at 02:21 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Jul 24, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 126 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.21 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.0953 | 4.41*** |
α ARCH Response to squared shocks | 0.0594 | 55.84*** |
β GARCH Volatility persistence | 0.9945 | 799.44*** |
ν DF Student-t tail thickness | 5.2125 | 12.78*** |
Persistence:
0.995
Half-life:
126 days
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